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M-Vine decomposition and VAR(1) models

Author

Listed:
  • Begin, Étienne
  • Dutilleul, Pierre
  • Beaulieu, Carole
  • Bouezmarni, Taoufik

Abstract

The M-Vine decomposition of high-dimensional first-order Vector AutoRegressive[VAR(1)] models is detailed by representing a VAR(1) with a Multivariate Gaussian Copula (MGC), building VAR(1) models with MGCs, decomposing MGCs following M-Vine structures, and reconstructing an MGC from an M-Vine structure.

Suggested Citation

  • Begin, Étienne & Dutilleul, Pierre & Beaulieu, Carole & Bouezmarni, Taoufik, 2020. "M-Vine decomposition and VAR(1) models," Statistics & Probability Letters, Elsevier, vol. 158(C).
    • Handle: RePEc:eee:stapro:v:158:y:2020:i:c:s0167715219303062
    DOI: 10.1016/j.spl.2019.108660
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    References listed on IDEAS

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    1. Rémillard, Bruno & Papageorgiou, Nicolas & Soustra, Frédéric, 2012. "Copula-based semiparametric models for multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 30-42.
    2. Brendan K. Beare & Juwon Seo, 2015. "Vine Copula Specifications for Stationary Multivariate Markov Chains," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(2), pages 228-246, March.
    3. Aas, Kjersti & Czado, Claudia & Frigessi, Arnoldo & Bakken, Henrik, 2009. "Pair-copula constructions of multiple dependence," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 182-198, April.
    4. Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 125-154.
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